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orderbook: Refactor package structure for simplicity and efficiency #1465

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merged 18 commits into from
May 14, 2024
Merged

orderbook: Refactor package structure for simplicity and efficiency #1465

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8b9d6e4
initial purge and benchmarks proof before rn overhaul
Feb 1, 2024
da5446e
rn LinkedList -> Tranche(s) and purge references
Feb 1, 2024
704f88f
roll out acrost exchanges
Feb 1, 2024
7296992
linterino
Feb 2, 2024
bf1ddfd
rn silly billy label
Feb 2, 2024
a92c427
linter strikes AAAAAGAIN!
Feb 2, 2024
a65b471
fix some things
Feb 2, 2024
9644630
rm comment
Feb 2, 2024
69365f1
Merge branch 'master' into book_slice
Feb 5, 2024
bc039c9
Add actual comparison from master to branch benchmark for sorting alg…
Feb 5, 2024
56d8496
lower case via git mv YAAY!
Feb 5, 2024
a52c2f4
drop code
Feb 5, 2024
cd059cd
Merge branch 'master' into book_slice
Feb 6, 2024
b7565de
Merge branch 'master' into book_slice
Feb 15, 2024
a2ac005
Merge branch 'master' into book_slice
Mar 17, 2024
5355274
convert type name
Mar 17, 2024
8cca05f
glorious: nits
Mar 17, 2024
d2c76cf
Merge branch 'master' into book_slice
May 13, 2024
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8 changes: 4 additions & 4 deletions cmd/exchange_template/wrapper_file.tmpl
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Original file line number Diff line number Diff line change
Expand Up @@ -281,17 +281,17 @@ func ({{.Variable}} *{{.CapitalName}}) UpdateOrderbook(ctx context.Context, pair
return book, err
}

book.Bids = make([]orderbook.Item, len(orderbookNew.Bids))
book.Bids = make([]orderbook.Tranche, len(orderbookNew.Bids))
for x := range orderbookNew.Bids {
book.Bids[x] = orderbook.Item{
book.Bids[x] = orderbook.Tranche{
Amount: orderbookNew.Bids[x].Quantity,
Price: orderbookNew.Bids[x].Price,
}
}

book.Asks = make([]orderbook.Item, len(orderbookNew.Asks))
book.Asks = make([]orderbook.Tranche, len(orderbookNew.Asks))
for x := range orderbookNew.Asks {
book.Asks[x] = orderbook.Item{
book.Asks[x] = orderbook.Tranche{
Amount: orderBookNew.Asks[x].Quantity,
Price: orderBookNew.Asks[x].Price,
}
Expand Down
2 changes: 1 addition & 1 deletion engine/helpers_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -759,7 +759,7 @@ func TestGetSpecificOrderbook(t *testing.T) {

base := orderbook.Base{
Pair: currency.NewPair(currency.BTC, currency.USD),
Bids: []orderbook.Item{{Price: 1000, Amount: 1}},
Bids: []orderbook.Tranche{{Price: 1000, Amount: 1}},
Exchange: "Bitstamp",
Asset: asset.Spot,
}
Expand Down
12 changes: 6 additions & 6 deletions engine/rpcserver_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -3474,13 +3474,13 @@ func TestGetOrderbookMovement(t *testing.T) {
t.Fatal(err)
}

bid := []orderbook.Item{
bid := []orderbook.Tranche{
{Price: 10, Amount: 1},
{Price: 9, Amount: 1},
{Price: 8, Amount: 1},
{Price: 7, Amount: 1},
}
ask := []orderbook.Item{
ask := []orderbook.Tranche{
{Price: 11, Amount: 1},
{Price: 12, Amount: 1},
{Price: 13, Amount: 1},
Expand Down Expand Up @@ -3587,13 +3587,13 @@ func TestGetOrderbookAmountByNominal(t *testing.T) {
t.Fatal(err)
}

bid := []orderbook.Item{
bid := []orderbook.Tranche{
{Price: 10, Amount: 1},
{Price: 9, Amount: 1},
{Price: 8, Amount: 1},
{Price: 7, Amount: 1},
}
ask := []orderbook.Item{
ask := []orderbook.Tranche{
{Price: 11, Amount: 1},
{Price: 12, Amount: 1},
{Price: 13, Amount: 1},
Expand Down Expand Up @@ -3693,13 +3693,13 @@ func TestGetOrderbookAmountByImpact(t *testing.T) {
t.Fatal(err)
}

bid := []orderbook.Item{
bid := []orderbook.Tranche{
{Price: 10, Amount: 1},
{Price: 9, Amount: 1},
{Price: 8, Amount: 1},
{Price: 7, Amount: 1},
}
ask := []orderbook.Item{
ask := []orderbook.Tranche{
{Price: 11, Amount: 1},
{Price: 12, Amount: 1},
{Price: 13, Amount: 1},
Expand Down
8 changes: 4 additions & 4 deletions exchanges/alphapoint/alphapoint_wrapper.go
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Original file line number Diff line number Diff line change
Expand Up @@ -212,17 +212,17 @@ func (a *Alphapoint) UpdateOrderbook(ctx context.Context, p currency.Pair, asset
return orderBook, err
}

orderBook.Bids = make(orderbook.Items, len(orderbookNew.Bids))
orderBook.Bids = make(orderbook.Tranches, len(orderbookNew.Bids))
for x := range orderbookNew.Bids {
orderBook.Bids[x] = orderbook.Item{
orderBook.Bids[x] = orderbook.Tranche{
Amount: orderbookNew.Bids[x].Quantity,
Price: orderbookNew.Bids[x].Price,
}
}

orderBook.Asks = make(orderbook.Items, len(orderbookNew.Asks))
orderBook.Asks = make(orderbook.Tranches, len(orderbookNew.Asks))
for x := range orderbookNew.Asks {
orderBook.Asks[x] = orderbook.Item{
orderBook.Asks[x] = orderbook.Tranche{
Amount: orderbookNew.Asks[x].Quantity,
Price: orderbookNew.Asks[x].Price,
}
Expand Down
16 changes: 8 additions & 8 deletions exchanges/binance/binance_websocket.go
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Original file line number Diff line number Diff line change
Expand Up @@ -460,18 +460,18 @@ func (b *Binance) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *OrderBoo
Exchange: b.Name,
LastUpdateID: orderbookNew.LastUpdateID,
VerifyOrderbook: b.CanVerifyOrderbook,
Bids: make(orderbook.Items, len(orderbookNew.Bids)),
Asks: make(orderbook.Items, len(orderbookNew.Asks)),
Bids: make(orderbook.Tranches, len(orderbookNew.Bids)),
Asks: make(orderbook.Tranches, len(orderbookNew.Asks)),
LastUpdated: time.Now(), // Time not provided in REST book.
}
for i := range orderbookNew.Bids {
newOrderBook.Bids[i] = orderbook.Item{
newOrderBook.Bids[i] = orderbook.Tranche{
Amount: orderbookNew.Bids[i].Quantity,
Price: orderbookNew.Bids[i].Price,
}
}
for i := range orderbookNew.Asks {
newOrderBook.Asks[i] = orderbook.Item{
newOrderBook.Asks[i] = orderbook.Tranche{
Amount: orderbookNew.Asks[i].Quantity,
Price: orderbookNew.Asks[i].Price,
}
Expand Down Expand Up @@ -641,16 +641,16 @@ func (b *Binance) unsubscribeFromChan(chans []subscription.Subscription) error {

// ProcessUpdate processes the websocket orderbook update
func (b *Binance) ProcessUpdate(cp currency.Pair, a asset.Item, ws *WebsocketDepthStream) error {
updateBid := make([]orderbook.Item, len(ws.UpdateBids))
updateBid := make([]orderbook.Tranche, len(ws.UpdateBids))
for i := range ws.UpdateBids {
updateBid[i] = orderbook.Item{
updateBid[i] = orderbook.Tranche{
Price: ws.UpdateBids[i][0].Float64(),
Amount: ws.UpdateBids[i][1].Float64(),
}
}
updateAsk := make([]orderbook.Item, len(ws.UpdateAsks))
updateAsk := make([]orderbook.Tranche, len(ws.UpdateAsks))
for i := range ws.UpdateAsks {
updateAsk[i] = orderbook.Item{
updateAsk[i] = orderbook.Tranche{
Price: ws.UpdateAsks[i][0].Float64(),
Amount: ws.UpdateAsks[i][1].Float64(),
}
Expand Down
8 changes: 4 additions & 4 deletions exchanges/binance/binance_wrapper.go
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Original file line number Diff line number Diff line change
Expand Up @@ -592,16 +592,16 @@ func (b *Binance) UpdateOrderbook(ctx context.Context, p currency.Pair, assetTyp
return book, err
}

book.Bids = make(orderbook.Items, len(orderbookNew.Bids))
book.Bids = make(orderbook.Tranches, len(orderbookNew.Bids))
for x := range orderbookNew.Bids {
book.Bids[x] = orderbook.Item{
book.Bids[x] = orderbook.Tranche{
Amount: orderbookNew.Bids[x].Quantity,
Price: orderbookNew.Bids[x].Price,
}
}
book.Asks = make(orderbook.Items, len(orderbookNew.Asks))
book.Asks = make(orderbook.Tranches, len(orderbookNew.Asks))
for x := range orderbookNew.Asks {
book.Asks[x] = orderbook.Item{
book.Asks[x] = orderbook.Tranche{
Amount: orderbookNew.Asks[x].Quantity,
Price: orderbookNew.Asks[x].Price,
}
Expand Down
16 changes: 8 additions & 8 deletions exchanges/binanceus/binanceus_websocket.go
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Original file line number Diff line number Diff line change
Expand Up @@ -672,7 +672,7 @@ func (bi *Binanceus) SynchroniseWebsocketOrderbook() {

// ProcessUpdate processes the websocket orderbook update
func (bi *Binanceus) ProcessUpdate(cp currency.Pair, a asset.Item, ws *WebsocketDepthStream) error {
updateBid := make([]orderbook.Item, len(ws.UpdateBids))
updateBid := make([]orderbook.Tranche, len(ws.UpdateBids))
for i := range ws.UpdateBids {
price := ws.UpdateBids[i][0]
p, err := strconv.ParseFloat(price, 64)
Expand All @@ -684,10 +684,10 @@ func (bi *Binanceus) ProcessUpdate(cp currency.Pair, a asset.Item, ws *Websocket
if err != nil {
return err
}
updateBid[i] = orderbook.Item{Price: p, Amount: a}
updateBid[i] = orderbook.Tranche{Price: p, Amount: a}
}

updateAsk := make([]orderbook.Item, len(ws.UpdateAsks))
updateAsk := make([]orderbook.Tranche, len(ws.UpdateAsks))
for i := range ws.UpdateAsks {
price := ws.UpdateAsks[i][0]
p, err := strconv.ParseFloat(price, 64)
Expand All @@ -699,7 +699,7 @@ func (bi *Binanceus) ProcessUpdate(cp currency.Pair, a asset.Item, ws *Websocket
if err != nil {
return err
}
updateAsk[i] = orderbook.Item{Price: p, Amount: a}
updateAsk[i] = orderbook.Tranche{Price: p, Amount: a}
}

return bi.Websocket.Orderbook.Update(&orderbook.Update{
Expand Down Expand Up @@ -844,18 +844,18 @@ func (bi *Binanceus) SeedLocalCacheWithBook(p currency.Pair, orderbookNew *Order
Exchange: bi.Name,
LastUpdateID: orderbookNew.LastUpdateID,
VerifyOrderbook: bi.CanVerifyOrderbook,
Bids: make(orderbook.Items, len(orderbookNew.Bids)),
Asks: make(orderbook.Items, len(orderbookNew.Asks)),
Bids: make(orderbook.Tranches, len(orderbookNew.Bids)),
Asks: make(orderbook.Tranches, len(orderbookNew.Asks)),
LastUpdated: time.Now(), // Time not provided in REST book.
}
for i := range orderbookNew.Bids {
newOrderBook.Bids[i] = orderbook.Item{
newOrderBook.Bids[i] = orderbook.Tranche{
Amount: orderbookNew.Bids[i].Quantity,
Price: orderbookNew.Bids[i].Price,
}
}
for i := range orderbookNew.Asks {
newOrderBook.Asks[i] = orderbook.Item{
newOrderBook.Asks[i] = orderbook.Tranche{
Amount: orderbookNew.Asks[i].Quantity,
Price: orderbookNew.Asks[i].Price,
}
Expand Down
8 changes: 4 additions & 4 deletions exchanges/binanceus/binanceus_wrapper.go
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Original file line number Diff line number Diff line change
Expand Up @@ -357,16 +357,16 @@ func (bi *Binanceus) UpdateOrderbook(ctx context.Context, pair currency.Pair, as
if err != nil {
return book, err
}
book.Bids = make([]orderbook.Item, len(orderbookNew.Bids))
book.Bids = make([]orderbook.Tranche, len(orderbookNew.Bids))
for x := range orderbookNew.Bids {
book.Bids[x] = orderbook.Item{
book.Bids[x] = orderbook.Tranche{
Amount: orderbookNew.Bids[x].Quantity,
Price: orderbookNew.Bids[x].Price,
}
}
book.Asks = make([]orderbook.Item, len(orderbookNew.Asks))
book.Asks = make([]orderbook.Tranche, len(orderbookNew.Asks))
for x := range orderbookNew.Asks {
book.Asks[x] = orderbook.Item{
book.Asks[x] = orderbook.Tranche{
Amount: orderbookNew.Asks[x].Quantity,
Price: orderbookNew.Asks[x].Price,
}
Expand Down
8 changes: 4 additions & 4 deletions exchanges/bitfinex/bitfinex_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -1749,7 +1749,7 @@ func TestGetHistoricTrades(t *testing.T) {
}

var testOb = orderbook.Base{
Asks: []orderbook.Item{
Asks: []orderbook.Tranche{
{Price: 0.05005, Amount: 0.00000500},
{Price: 0.05010, Amount: 0.00000500},
{Price: 0.05015, Amount: 0.00000500},
Expand All @@ -1761,7 +1761,7 @@ var testOb = orderbook.Base{
{Price: 0.05045, Amount: 0.00000500},
{Price: 0.05050, Amount: 0.00000500},
},
Bids: []orderbook.Item{
Bids: []orderbook.Tranche{
{Price: 0.05000, Amount: 0.00000500},
{Price: 0.04995, Amount: 0.00000500},
{Price: 0.04990, Amount: 0.00000500},
Expand All @@ -1783,7 +1783,7 @@ func TestChecksum(t *testing.T) {
}

func TestReOrderbyID(t *testing.T) {
asks := []orderbook.Item{
asks := []orderbook.Tranche{
{ID: 4, Price: 100, Amount: 0.00000500},
{ID: 3, Price: 100, Amount: 0.00000500},
{ID: 2, Price: 100, Amount: 0.00000500},
Expand All @@ -1803,7 +1803,7 @@ func TestReOrderbyID(t *testing.T) {
}
}

bids := []orderbook.Item{
bids := []orderbook.Tranche{
{ID: 4, Price: 100, Amount: 0.00000500},
{ID: 3, Price: 100, Amount: 0.00000500},
{ID: 2, Price: 100, Amount: 0.00000500},
Expand Down
18 changes: 9 additions & 9 deletions exchanges/bitfinex/bitfinex_websocket.go
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Original file line number Diff line number Diff line change
Expand Up @@ -1471,10 +1471,10 @@ func (b *Bitfinex) WsInsertSnapshot(p currency.Pair, assetType asset.Item, books
return errors.New("no orderbooks submitted")
}
var book orderbook.Base
book.Bids = make(orderbook.Items, 0, len(books))
book.Asks = make(orderbook.Items, 0, len(books))
book.Bids = make(orderbook.Tranches, 0, len(books))
book.Asks = make(orderbook.Tranches, 0, len(books))
for i := range books {
item := orderbook.Item{
item := orderbook.Tranche{
ID: books[i].ID,
Amount: books[i].Amount,
Price: books[i].Price,
Expand Down Expand Up @@ -1513,13 +1513,13 @@ func (b *Bitfinex) WsUpdateOrderbook(c *subscription.Subscription, p currency.Pa
orderbookUpdate := orderbook.Update{
Asset: assetType,
Pair: p,
Bids: make([]orderbook.Item, 0, len(book)),
Asks: make([]orderbook.Item, 0, len(book)),
Bids: make([]orderbook.Tranche, 0, len(book)),
Asks: make([]orderbook.Tranche, 0, len(book)),
UpdateTime: time.Now(), // Not included in update
}

for i := range book {
item := orderbook.Item{
item := orderbook.Tranche{
ID: book[i].ID,
Amount: book[i].Amount,
Price: book[i].Price,
Expand Down Expand Up @@ -2088,7 +2088,7 @@ func validateCRC32(book *orderbook.Base, token int) error {
reOrderByID(book.Asks)

// RO precision calculation is based on order ID's and amount values
var bids, asks []orderbook.Item
var bids, asks []orderbook.Tranche
for i := 0; i < 25; i++ {
if i < len(book.Bids) {
bids = append(bids, book.Bids[i])
Expand Down Expand Up @@ -2142,10 +2142,10 @@ func validateCRC32(book *orderbook.Base, token int) error {
// reOrderByID sub sorts orderbook items by its corresponding ID when price
// levels are the same. TODO: Deprecate and shift to buffer level insertion
// based off ascending ID.
func reOrderByID(depth []orderbook.Item) {
func reOrderByID(depth []orderbook.Tranche) {
subSort:
for x := 0; x < len(depth); {
var subset []orderbook.Item
var subset []orderbook.Tranche
// Traverse forward elements
for y := x + 1; y < len(depth); y++ {
if depth[x].Price == depth[y].Price &&
Expand Down
16 changes: 8 additions & 8 deletions exchanges/bitfinex/bitfinex_wrapper.go
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Original file line number Diff line number Diff line change
Expand Up @@ -403,36 +403,36 @@ func (b *Bitfinex) UpdateOrderbook(ctx context.Context, p currency.Pair, assetTy
}
if assetType == asset.MarginFunding {
o.IsFundingRate = true
o.Asks = make(orderbook.Items, len(orderbookNew.Asks))
o.Asks = make(orderbook.Tranches, len(orderbookNew.Asks))
for x := range orderbookNew.Asks {
o.Asks[x] = orderbook.Item{
o.Asks[x] = orderbook.Tranche{
ID: orderbookNew.Asks[x].OrderID,
Price: orderbookNew.Asks[x].Rate,
Amount: orderbookNew.Asks[x].Amount,
Period: int64(orderbookNew.Asks[x].Period),
}
}
o.Bids = make(orderbook.Items, len(orderbookNew.Bids))
o.Bids = make(orderbook.Tranches, len(orderbookNew.Bids))
for x := range orderbookNew.Bids {
o.Bids[x] = orderbook.Item{
o.Bids[x] = orderbook.Tranche{
ID: orderbookNew.Bids[x].OrderID,
Price: orderbookNew.Bids[x].Rate,
Amount: orderbookNew.Bids[x].Amount,
Period: int64(orderbookNew.Bids[x].Period),
}
}
} else {
o.Asks = make(orderbook.Items, len(orderbookNew.Asks))
o.Asks = make(orderbook.Tranches, len(orderbookNew.Asks))
for x := range orderbookNew.Asks {
o.Asks[x] = orderbook.Item{
o.Asks[x] = orderbook.Tranche{
ID: orderbookNew.Asks[x].OrderID,
Price: orderbookNew.Asks[x].Price,
Amount: orderbookNew.Asks[x].Amount,
}
}
o.Bids = make(orderbook.Items, len(orderbookNew.Bids))
o.Bids = make(orderbook.Tranches, len(orderbookNew.Bids))
for x := range orderbookNew.Bids {
o.Bids[x] = orderbook.Item{
o.Bids[x] = orderbook.Tranche{
ID: orderbookNew.Bids[x].OrderID,
Price: orderbookNew.Bids[x].Price,
Amount: orderbookNew.Bids[x].Amount,
Expand Down
8 changes: 4 additions & 4 deletions exchanges/bitflyer/bitflyer_wrapper.go
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Original file line number Diff line number Diff line change
Expand Up @@ -244,17 +244,17 @@ func (b *Bitflyer) UpdateOrderbook(ctx context.Context, p currency.Pair, assetTy
return book, err
}

book.Asks = make(orderbook.Items, len(orderbookNew.Asks))
book.Asks = make(orderbook.Tranches, len(orderbookNew.Asks))
for x := range orderbookNew.Asks {
book.Asks[x] = orderbook.Item{
book.Asks[x] = orderbook.Tranche{
Price: orderbookNew.Asks[x].Price,
Amount: orderbookNew.Asks[x].Size,
}
}

book.Bids = make(orderbook.Items, len(orderbookNew.Bids))
book.Bids = make(orderbook.Tranches, len(orderbookNew.Bids))
for x := range orderbookNew.Bids {
book.Bids[x] = orderbook.Item{
book.Bids[x] = orderbook.Tranche{
Price: orderbookNew.Bids[x].Price,
Amount: orderbookNew.Bids[x].Size,
}
Expand Down
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